WWW Options History — June 2013

In June 2013, WWW traded between $25.27 and $27.30. ATM implied volatility averaged 26.3%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 4.8% (HV 20d: 21.5%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 2.39.

Notable Days

  • 2013-06-20: Highest Volume — 288 contracts
  • 2013-06-10: Largest IV spike — 66.8% change
  • 2013-06-25: Highest IV Rank — 41.5%
  • 2013-06-25: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.09$25.27$27.30$26.36$27.30
Max Pain$26.63$25.00$27.50$25.00$27.50
ATM IV26.3%11.9%31.1%20.1%28.5%
Expected Move8.0%5.8%8.9%5.8%8.2%
HV 20d21.5%18.6%23.9%18.7%23.9%
HV 60d26.3%25.9%26.7%26.0%26.7%
IV Rank29.8%0.0%41.5%11.1%36.0%
IV Percentile39.2%0.0%71.0%5.2%46.4%
Term Structure-0.8%-3.4%5.4%4.2%-1.7%
VWIV28.6%25.2%31.1%25.2%28.5%
Skew 25d6.3%3.0%11.1%3.2%11.1%
Skew 10d15.7%3.7%65.1%4.1%15.9%
Call IV 25d24.5%16.3%28.5%20.8%21.2%
Put IV 25d30.8%23.2%34.6%23.9%32.2%
Bid-Ask Spread %36.3116.8849.9317.4739.27
Gamma HHI0.400.370.440.420.44
Net GEX51.0K10.5K85.2K65.5K65.8K
Net DEX-3.4M-4.8M-941.9K-4.2M-3.0M
Net VEX-21.5K-23.4K-19.9K-23.0K-19.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.390.0017.330.000.25
Total Volume83.8028842200
Total OI5,968.34,3646,8006,3064,458

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$26.36$25.0020.1%5.8%18.7%11.1%0.0%3.2%4.2%65.5K-4.2M-23.0K0.0017.47N/AN/A4203,2483,058
2013-06-04$26.36$25.0020.4%5.9%18.6%11.7%0.0%3.6%4.0%68.3K-4.2M-22.6K0.0016.88N/AN/A003,2803,058
2013-06-05$25.73$25.0023.3%6.7%19.8%18.5%0.0%6.1%4.5%54.0K-3.4M-23.4K0.5522.95N/AN/A22123,2803,058
2013-06-06$25.82$25.0023.1%6.6%19.8%18.1%0.0%7.5%5.4%55.7K-3.4M-23.0K0.3348.96N/AN/A2483,2963,064
2013-06-07$26.27$25.0011.9%7.3%20.2%0.0%25.2%7.7%-0.8%66.6K-4.1M-22.3K0.0049.65N/AN/A6203,3203,064
2013-06-10$26.68$25.0019.8%7.4%20.6%17.2%26.3%8.9%-0.7%85.2K-4.8M-21.9K0.0749.93N/AN/A2823,3763,064
2013-06-11$26.02$25.0024.1%8.5%22.9%26.4%28.0%5.9%-2.1%64.8K-4.0M-22.0K1.8648.30N/AN/A14263,3583,062
2013-06-12$25.75$27.5023.2%8.8%22.2%24.5%29.5%4.9%-3.2%55.3K-3.6M-22.1K3.1348.77N/AN/A321003,3723,080
2013-06-13$26.14$27.5030.8%8.8%22.8%41.1%0.0%7.8%-2.4%59.5K-4.0M-22.4K10.0047.90N/AN/A2203,3843,158
2013-06-14$25.97$27.5030.3%8.7%23.0%39.9%26.4%6.1%-2.2%46.8K-4.1M-21.4K0.0047.96N/AN/A3803,3843,178
2013-06-17$26.02$27.5030.8%8.8%21.8%40.9%0.0%6.1%-3.0%46.1K-4.2M-20.9K0.0039.53N/AN/A403,3743,178
2013-06-18$26.28$27.5026.6%7.6%21.8%31.9%30.6%6.2%-1.6%52.0K-4.5M-20.5K2.5740.07N/AN/A28723,3763,178
2013-06-19$25.90$27.5030.7%8.8%21.0%40.7%0.0%6.0%-3.4%42.4K-4.0M-20.7K0.0039.66N/AN/A003,3843,232
2013-06-20$25.34$27.5031.0%8.9%21.9%41.3%31.1%5.6%-2.8%35.4K-3.2M-20.7K5.5530.36N/AN/A442443,3843,232
2013-06-21$25.27$27.5030.4%8.7%21.6%40.1%26.0%6.2%-2.3%10.5K-2.7M-21.2K0.8829.49N/AN/A1341183,3963,404
2013-06-24$25.50$27.5031.0%8.9%21.8%41.3%31.0%6.2%-0.8%11.8K-941.9K-20.4K17.3327.67N/AN/A122082,3342,162
2013-06-25$25.98$27.5031.1%8.9%21.7%41.5%31.0%5.3%-2.1%36.8K-1.5M-20.5K0.0017.17N/AN/A2802,3422,022
2013-06-26$26.20$27.5030.7%8.8%22.0%40.7%30.5%3.0%-2.4%42.8K-1.8M-20.3K0.0026.25N/AN/A5402,3582,022
2013-06-27$26.85$27.5027.5%7.9%23.6%33.8%27.7%8.8%-1.7%55.8K-2.4M-20.3K0.4437.90N/AN/A68302,3662,022
2013-06-28$27.30$27.5028.5%8.2%23.9%36.0%28.5%11.1%-1.7%65.8K-3.0M-19.9K0.2539.27N/AN/A160402,4162,042